Press release Embargo: 1 September 2016, 3.00 pm (CEST) Communications P.O. Box, CH-8022 Zurich Telephone +41 58 631 00 00 communications@snb.ch Zurich, 1 September 2016 Turnover in foreign exchange and derivatives markets, 2016 BIS triennial survey: Results for Switzerland This press release presents the results for a Swiss National Bank (SNB) survey on turnover 1 in foreign exchange and derivatives markets. The request for data was sent to 30 banks that operate in Switzerland and have a sizeable share in the foreign exchange and over-the-counter (OTC) derivatives markets. These banks reported the turnover of their domestic offices. The survey is part of a global survey coordinated by the Bank for International Settlements (BIS) on foreign exchange and derivatives market activity. It is conducted every three years and in over 50 countries. This is the tenth time that the SNB has taken part. The survey consists of two parts, with the first on turnover (reference month: April 2016) and the second on amounts outstanding of contracts and on replacement values (reference date: 30 June 2016). The results of the first part of the survey pertaining to Switzerland are presented in this press release. Simultaneously, the BIS is presenting the global results of the survey on turnover in the global foreign exchange and derivatives markets. It also plans to publish the global results of the second part of the survey in the fourth quarter of 2016. 1 Turnover is defined as the contract volume (notional value) of all new trades concluded during the reporting period. Further details regarding the survey approach are available at www.snb.ch, Statistics, Surveys, Survey documents, OTC Derivatives Statistics (BIS). Page 1/4
Zurich, 1 September 2016 Press release Summary of results On each of the trading days in April 2016, the 30 reporting banks recorded an average turnover of USD 156 billion in foreign exchange transactions and USD 8 billion in interest rate derivatives transactions. 2 Compared with the previous survey in 2013, the trading volume in foreign exchange transactions decreased by USD 60 billion (28%), and in interest rate derivatives by USD 24 billion (75%). Regarding foreign exchange transactions, all instruments recorded a decline compared to 2013. Although fewer foreign exchange swaps and spot transactions, in particular, were concluded, they still remained proportionately the two most important instruments. Once again, the most frequently traded currency was the US dollar. At the same time, the Swiss franc replaced the euro as the second most important currency in foreign exchange transactions. Turnover in interest rate derivatives was again dominated by swaps and forward rate agreements; however, the turnover for both was considerably below the values recorded for the previous survey in 2013. Trading in interest rate derivatives denominated in euros receded in particular. As a result, the Swiss franc became the most important currency in interest rate derivatives trading for the first time since the 1998 survey. Turnover in foreign exchange transactions In April 2016, average daily turnover in foreign exchange transactions amounted to USD 156 billion, which was 28% lower than in April 2013. With a share of 74%, foreign exchange swaps remained the most important instrument, followed by spot transactions with a share of 16%. Once again, almost two-thirds of foreign exchange transactions were settled via electronic trading platforms and the remainder by telephone. Instruments Average daily turnover in foreign exchange swaps fell by 12% to USD 116 billion from USD 132 billion in 2013. Turnover in spot transactions saw a considerable decline of 60% to USD 25 billion (2013: USD 63 billion). Outright forwards and foreign exchange options retained their relatively minor position, with USD 8 billion and USD 6 billion respectively. Currency swaps were barely used any more. 2 Besides spot transactions, foreign exchange transactions refer to foreign exchange swaps, outright forwards, foreign exchange options and currency swaps. Interest rate derivatives comprise swaps, forward rate agreements and options. Page 2/4
Zurich, 1 September 2016 Press release Counterparties The banks main trading partners in the foreign exchange markets continued to be crossborder financial institutions, accounting for 69%, or USD 108 billion, of average daily turnover. These were followed by local financial institutions, at 19%, or USD 30 billion. Overall, the share of financial institutions declined slightly to 88% (2013: 93%). Accordingly, the share of non-financial institutions rose from 7% to 12%. Compared with 2013, the prime brokerage share of total foreign exchange turnover went up from 2% to 4%, while the share of retail-driven transactions remained almost unchanged at 10% (2013: 11%). Currencies The decline in foreign exchange transactions primarily occurred in trades denominated in US dollars and euros. Despite this development, the US dollar remained the most traded currency. The euro, however, lost its position as the second most important currency in foreign exchange transactions to the Swiss franc. Regarding turnover in currency pairs, the share of contracts in USD/CHF went up to 28%, from 21% in 2013, whereas the share of EUR/USD contracts declined from 32% to 23%. Other major currency pairs were USD/JPY (10%), EUR/CHF (7%) and GBP/USD (5%). Turnover in interest rate derivatives transactions Average daily turnover in interest rate derivatives transactions amounted to USD 8 billion in April 2016, which was USD 24 billion or 75% lower than in April 2013. Instruments Trades in swaps and forward rate agreements both recorded a considerable decline in turnover. Compared with the previous survey in 2013, turnover in swaps went down by 67% or USD 13 billion, and in forward rate agreements the drop was 86% or USD 12 billion. With a share of 76% (2013: 58%), swaps remained the most important instrument in interest rate derivatives transactions, followed by forward rate agreements with 23% (2013: 42%). Options continued to have limited importance, with a share of 2%. Counterparties The whole of the decrease in interest rate derivatives turnover was accounted for by transactions with financial institutions abroad. These declined by USD 26 billion, and as a result their share fell to 66% (2013: 96%). Correspondingly, the share of domestic financial institutions rose from 1% in 2013 to 16% in 2016, for non-financial institutions it went up from 3% to 18%. Page 3/4
Zurich, 1 September 2016 Press release Currencies While the majority of interest rate derivatives transactions an overall share of 94% were conducted in euros, US dollars and Swiss francs, turnover in what had previously been the most important currency, the euro, plummeted by 91% or USD 22 billion. The share of transactions in euros thus decreased to 27%, compared to 74% in 2013. Even though it saw a decline in turnover, the US dollar share increased from 10% to 25%, while that of the Swiss franc went up to 42% from 10% despite turnover remaining almost the same. This resulted in the Swiss franc becoming the most important currency in interest rate derivatives trading for the first time since the 1998 survey. Page 4/4
Annex to the press release Turnover in foreign exchange and derivatives markets 2016
Contents Page 3 Conventions and notes 4 Tables 5 Foreign exchange transactions and interest rate derivatives 5 Table 1: Overview 6 Turnover in foreign exchange transactions 6 Table 2: Turnover by counterparty 6 Table 3: Turnover by currency 7 Table 4: Turnover by currency pair, instrument and counterparty 8 Turnover in interest rate derivatives 8 Table 5: Turnover by counterparty 8 Table 6: Turnover by currency, instrument and counterparty 9 Charts 10 Foreign exchange transactions and interest rate derivatives 10 Chart 1: Turnover 10 Chart 2: Turnover by counterparty 11 Turnover in foreign exchange transactions 11 Chart 3: Turnover by instrument 11 Chart 4: Turnover by counterparty 12 Chart 5: Turnover by currency pair 12 Chart 6: Share of turnover by currency pair 13 Turnover in interest rate derivatives 13 Chart 7: Turnover by instrument 13 Chart 8: Turnover by counterparty 14 Chart 9: Turnover by currency 14 Chart 10: Share of turnover by currency Annex to the press release / Turnover in foreign exchange and derivatives markets 2016 2
Conventions and notes CONVENTIONS 0 Rounded zero or value negligible. Absolute zero.. Data confidential, not available or not applicable. NOTES Rounding differences The figures in the tables are rounded. Where rounded figures are used in calculations (totals, balances, rates of change, shares), deviations from the exact values can result. Further information publications@snb.ch Editorial deadline Cut-off date is 17 August 2016. Internet OTC derivatives statistics (BIS) These tables are available on the internet at www.snb.ch, Statistics, Statistical publications, Foreign exchange and derivatives markets. Data on the global survey are published on the website of the Bank for International Settlements (BIS) at www.bis.org, Statistics, Foreign exchange markets. Annex to the press release / Turnover in foreign exchange and derivatives markets 2016 3
Tables Annex to the press release / Turnover in foreign exchange and derivatives markets 2016 4
Table 1 Foreign exchange transactions and interest rate derivatives: overview 1995 1998 2001 2004 2007 2010 2013 2016 Total turnover In USD billions 1 636 1 950 1 633 1 949 5 972 6 486 5 229 3 457 Turnover per trading day in April (share of total turnover in brackets) In USD millions Total turnover 90 874 97 501 85 954 97 459 314 294 324 314 249 012 164 609 Foreign exchange transactions 88 432 (97%) 91 619 (94%) 76 339 (89%) 85 410 (88%) 253 639 (81%) 249 453 (77%) 216 394 (87%) 156 431 (95%) Spot transactions 44 186 (49%) 34 464 (35%) 23 388 (27%) 23 168 (24%) 108 449 (35%) 57 860 (18%) 62 768 (25%) 25 335 (15%) Foreign exchange swaps 33 925 (37%) 41 790 (43%) 41 104 (48%) 49 393 (51%) 116 418 (37%) 172 880 (53%) 131 535 (53%) 116 404 (71%) Outright forwards 8 351 (9%) 5 465 (6%) 6 331 (7%) 6 653 (7%) 16 824 (5%) 10 676 (3%) 13 844 (6%) 8 441 (5%) Foreign exchange options 1 946 (2%) 9 650 (10%) 5 453 (6%) 6 164 (6%) 11 871 (4%) 8 015 (2%) 8 078 (3%) 6 239 (4%) Currency swaps 23 (0%) 250 (0%) 62 (0%) 32 (0%) 77 (0%) 22 (0%) 169 (0%) 13 (0%) Interest rate derivatives 2 442 (3%) 5 883 (6%) 9 615 (11%) 12 049 (12%) 60 654 (19%) 74 861 (23%) 32 618 (13%) 8 178 (5%) Swaps 483 (1%) 3 908 (4%) 1 729 (2%) 10 435 (11%) 54 319 (17%) 55 752 (17%) 18 877 (8%) 6 199 (4%) Forward rate agreements 1 623 (2%) 1 922 (2%) 7 846 (9%) 1 578 (2%) 6 270 (2%) 19 058 (6%) 13 708 (6%) 1 851 (1%) Options 336 (0%) 53 (0%) 40 (0%) 36 (0%) 66 (0%) 51 (0%) 33 (0%) 129 (0%) Total turnover, by counterparty Financial institutions 76 734 (84%) 81 065 (83%) 71 390 (83%) 78 647 (81%) 269 532 (86%) 301 772 (93%) 233 216 (94%) 144 379 (88%) Local 13 187 (15%) 13 275 (14%) 10 118 (12%) 9 101 (9%) 18 506 (6%) 24 216 (7%) 48 472 (19%) 30 877 (19%) Cross-border 63 548 (70%) 67 790 (70%) 61 272 (71%) 69 546 (71%) 251 026 (80%) 277 555 (86%) 184 744 (74%) 113 502 (69%) Non-financial customers 14 140 (16%) 16 436 (17%) 14 564 (17%) 18 812 (19%) 44 761 (14%) 22 542 (7%) 15 796 (6%) 20 230 (12%) Local 6 465 (7%) 7 071 (7%) 8 565 (10%) 10 501 (11%) 20 930 (7%) 11 476 (4%) 7 570 (3%) 7 970 (5%) Cross-border 7 674 (8%) 9 366 (10%) 5 999 (7%) 8 311 (9%) 23 831 (8%) 11 066 (3%) 8 226 (3%) 12 260 (7%) Currency midrates in April USD in CHF 1.134 1.505 1.712 1.297 1.212 1.069 0.937 0.964 EUR.. 1.120 0.834 0.740 0.745 0.768 0.882 DEM 1.378 1.814...... JYP 83.61 132.03 123.73 107.58 118.91 93.58 97.74 109.61 GBP 0.617 0.598 0.697 0.555 0.503 0.653 0.653 0.699 Number of banks 114 63 42 22 23 27 25 30 Number of trading days 18 20 19 20 19 20 21 21 Annex to the press release / Turnover in foreign exchange and derivatives markets 2016 5
Table 2 Foreign exchange transactions: turnover by counterparty Turnover per trading day in April 2016 (share of total foreign exchange turnover in brackets) In USD millions Total foreign exchange transactions Spot transactions Foreign exchange swaps Outright forwards Foreign exchange options Currency swaps Total 156 431 (100%) 25 335 (100%) 116 404 (100%) 8 441 (100%) 6 239 (100%) 13 (100%) Financial institutions 137 666 (88%) 22 373 (88%) 103 740 (89%) 6 851 (81%) 4 690 (75%) 12 (98%) Local 29 534 (19%) 4 107 (16%) 21 618 (19%) 3 004 (36%) 803 (13%) 3 (23%) Cross-border 108 133 (69%) 18 267 (72%) 82 122 (71%) 3 847 (46%) 3 887 (62%) 9 (75%) Banks 113 043 (72%) 17 974 (71%) 88 348 (76%) 3 326 (39%) 3 385 (54%) 10 (83%) Institutional investors 17 464 (11%) 1 933 (8%) 11 972 (10%) 2 781 (33%) 777 (12%) 0 (0%) Hedge funds and proprietary trading firms 1 555 (1%) 353 (1%) 581 (0%) 247 (3%) 372 (6%) 2 (15%) Public institutions 722 (0%) 109 (0%) 525 (0%) 31 (0%) 57 (1%) 0 (0%) Other 4 882 (3%) 2 004 (8%) 2 314 (2%) 466 (6%) 99 (2%) 0 (0%) Non-financial customers 18 765 (12%) 2 961 (12%) 12 665 (11%) 1 590 (19%) 1 548 (25%) 0 (2%) Local 7 211 (5%) 833 (3%) 5 180 (4%) 683 (8%) 515 (8%) 0 (0%) Cross-border 11 554 (7%) 2 129 (8%) 7 485 (6%) 907 (11%) 1 033 (17%) 0 (2%) Table 3 Foreign exchange transactions: turnover by currency Turnover per trading day in April (share of total foreign exchange turnover in brackets) In USD millions 1995 1998 2001 2004 2007 2010 2013 2016 USD 63 801 (72%) 75 278 (82%) 65 106 (85%) 71 505 (84%) 212 599 (84%) 208 119 (83%) 181 523 (84%) 131 739 (84%) EUR.... 35 156 (46%) 39 374 (46%) 109 741 (43%) 107 225 (43%) 96 710 (45%) 55 051 (35%) DEM 41 855 (47%) 32 387 (35%)............ CHF 35 908 (41%) 33 988 (37%) 25 263 (33%) 28 330 (33%) 72 634 (29%) 74 456 (30%) 62 555 (29%) 58 052 (37%) JPY........ 33 305 (13%) 28 130 (11%) 25 052 (11%) 18 866 (9%) GBP........ 38 990 (15%) 29 788 (12%) 22 994 (12%) 13 416 (12%) Other 35 300 (40%) 41 584 (45%) 27 154 (36%) 31 611 (37%) 40 011 (16%) 51 188 (21%) 43 954 (20%) 35 738 (23%) Total 176 864 (200%) 183 238 (200%) 152 678 (200%) 170 819 (200%) 507 279 (200%) 498 905 (200%) 432 788 (200%) 312 862 (200%) Annex to the press release / Turnover in foreign exchange and derivatives markets 2016 6
Table 4 Foreign exchange transactions: turnover by currency pair, instrument and counterparty Turnover per trading day in April 2016 In USD millions Total foreign exchange transactions of which CHF against EUR against USD against USD EUR JPY GBP USD JPY GBP Scandinavian currencies* JPY GBP CAD Asia-Pacific currencies** Spot transactions 25 335 3 241 1 973 84 250 7 626 382 638 424 1 966 2 429 955 2 256 Financial institutions 22 373 2 900 1 631 66 187 6 708 357 577 392 1 740 2 098 862 2 117 Non-financial customers 2 961 341 342 18 63 918 24 61 32 226 331 93 138 Forward transactions 131 096 39 993 9 255 594 1 527 29 034 835 1 406 420 14 086 5 984 2 570 5 932 Outright forwards 8 441 2 226 757 129 146 1 607 122 211 64 405 478 120 519 Financial institutions 6 851 2 040 577 110 101 1 166 101 162 54 326 275 84 446 Non-financial customers 1 590 186 180 19 45 441 21 49 10 79 202 36 73 Foreign exchange swaps 116 404 37 304 8 252 398 1 314 25 495 601 1 011 249 12 873 4 785 2 158 4 825 Financial institutions 103 740 35 096 7 160 373 1 159 22 915 554 939 230 12 175 4 117 1 670 3 858 Non-financial customers 12 665 2 208 1 092 24 155 2 580 47 72 20 699 668 488 968 Foreign exchange options 6 239 461 246 67 66 1 922 112 184 106 807 722 291 588 Financial institutions 4 690 335 207 56 35 1 516 97 147 86 492 584 226 511 Non-financial customers 1 548 125 39 11 31 407 16 37 20 315 138 65 77 Currency swaps 13 3 0 0 0 10 0 0 0 0 0 0 0 Financial institutions 12 3 0 0 0 9 0 0 0 0 0 0 0 Non-financial customers 0 0 0 0 0 0 0 0 0 0 0 0 0 Total 156 431 43 234 11 228 677 1 777 36 660 1 217 2 044 844 16 051 8 414 3 525 8 188 * SEK, NOK, DKK ** AUD, NZD, HKD, CNY, SGD, KRW, TWD, INR Annex to the press release / Turnover in foreign exchange and derivatives markets 2016 7
Table 5 Interest rate derivatives: turnover by counterparty Turnover per trading day in April 2016 (share of total interest rate derivatives turnover in brackets) In USD millions Total interest rate derivatives Swaps Forward rate agreements Options Total 8 178 (100%) 6 199 (100%) 1 851 (100%) 129 (100%) Financial institutions 6 713 (82%) 4 939 (80%) 1 672 (90%) 102 (79%) Local 1 343 (16%) 552 (9%) 753 (41%) 38 (30%) Cross-border 5 369 (66%) 4 387 (71%) 919 (50%) 63 (49%) Non-financial customers 1 465 (18%) 1 260 (20%) 179 (10%) 27 (21%) Local 760 (9%) 737 (12%) 0 (0%) 23 (18%) Cross-border 706 (9%) 523 (8%) 179 (10%) 4 (3%) Table 6 Interest rate derivatives: turnover by currency, instrument and counterparty Turnover per trading day in April 2016 In USD millions EUR GBP CHF USD JPY CAD Scandinavian currencies* Asia-Pacific currencies** Other Total Total 2 217 154 3 461 2 043 155 13 97 38 1 8 178 Swaps 2 051 144 1 942 1 796 130 11 92 32 0 6 199 Financial institutions 1 588 144 1 635 1 314 126 10 92 29 0 4 939 Non-financial customers 463 1 307 481 4 1 0 3 0 1 260 Forward rate agreements 144 0 1 497 209 0 0 0 0 0 1 851 Financial institutions 0 0 1 463 209 0 0 0 0 0 1 672 Non-financial customers 144 0 34 0 0 0 0 0 0 179 Options 21 10 22 39 24 2 4 6 0 129 Financial institutions 15 9 17 32 24 1 1 2 0 102 Non-financial customers 6 1 4 7 0 1 3 4 0 27 * SEK, NOK, DKK ** AUD, NZD, HKD, CNY, SGD, KRW, TWD, INR Annex to the press release / Turnover in foreign exchange and derivatives markets 2016 8
Charts Annex to the press release / Turnover in foreign exchange and derivatives markets 2016 9
Foreign exchange transactions and interest rate derivatives Chart 1 foreign exchange transactions and interest rate derivatives turnover In USD millions per trading day 350 000 300 000 250 000 200 000 150 000 100 000 50 000 0 2004 2007 2010 2013 2016 Foreign exchange transactions Interest rate derivatives Chart 2 foreign exchange transactions and interest rate derivatives turnover by counterparty In USD millions per trading day 350 000 300 000 250 000 200 000 150 000 100 000 50 000 0 2004 2007 2010 2013 2016 Local financial institutions Cross-border financial institutions Local non-financial customers Cross-border non-financial customers Annex to the press release / Turnover in foreign exchange and derivatives markets 2016 10
Turnover in foreign exchange transactions Chart 3 foreign exchange transactions turnover by instrument In USD millions per trading day 300 000 250 000 200 000 150 000 100 000 50 000 0 2004 2007 2010 2013 2016 Spot transactions Foreign exchange swaps Outright forwards Foreign exchange options Currency swaps Chart 4 foreign exchange transactions turnover by counterparty In USD millions per trading day 300 000 250 000 200 000 150 000 100 000 50 000 0 2004 2007 2010 2013 2016 Local financial institutions Cross-border financial institutions Local non-financial cutomers Cross-border non-financial customers Annex to the press release / Turnover in foreign exchange and derivatives markets 2016 11
Chart 5 foreign exchange transactions turnover by currency pair In USD millions per trading day 300 000 250 000 200 000 150 000 100 000 50 000 0 USD/CHF USD/JPY EUR/CHF 2004 2007 2010 2013 2016 EUR/USD EUR/JPY GBP/CHF GBP/USD JPY/CHF Other Chart 6 foreign exchange transactions share of turnover by currency pair april 2016 Share in % USD/CHF 27.6 USD/JPY 10.3 EUR/CHF 7.2 EUR/USD 23.4 EUR/JPY 0.8 GBP/CHF 1.1 GBP/USD 5.4 JPY/CHF 0.4 Other 23.8 Annex to the press release / Turnover in foreign exchange and derivatives markets 2016 12
Turnover in interest rate derivatives Chart 7 interest rate derivatives turnover by instrument In USD millions per trading day 80 000 70 000 60 000 50 000 40 000 30 000 20 000 10 000 0 2004 2007 2010 2013 2016 Swaps Forward rate agreements Options Chart 8 interest rate derivatives turnover by counterparty In USD millions per trading day 80 000 70 000 60 000 50 000 40 000 30 000 20 000 10 000 0 2004 2007 2010 2013 2016 Local financial institutions Cross-border financial institutions Local non-financial customers Cross-border non-financial customers Annex to the press release / Turnover in foreign exchange and derivatives markets 2016 13
Chart 9 interest rate derivatives turnover by currency In USD millions per trading day 80 000 70 000 60 000 50 000 40 000 30 000 20 000 10 000 0 2004 2007 2010 2013 2016 EUR GBP CHF USD JPY Other Chart 10 interest rate derivatives share of turnover by currency april 2016 Share in % EUR 27.1 GBP 1.9 CHF 42.3 USD 25 JPY 1.9 Other 1.8 Annex to the press release / Turnover in foreign exchange and derivatives markets 2016 14